1、金融隨機分析課程教學(xué)大綱一、課程基本信息課程名稱：金融隨機分析課程代碼：學(xué) 分：學(xué) 時：3 學(xué)時/課，共54學(xué)時。二、任課教師、教學(xué)助理、教室等情況（四）教室：（五）上課時間：（六）紀(jì)律：1.無特殊情況，不允許無故缺課。2.每次作業(yè)須在規(guī)定時間內(nèi)提交。三、閱讀材料教材: Stochastic Calculus for Finance I，Steven E.Shreve.2004參考資料：補充講稿四、課程內(nèi)容概要（一）課程目標(biāo)-Provide an understanding of binomial model-Develop fundamental knowledge and skills o

2、n the use of BT method to price derivatives such as American options（二）教學(xué)內(nèi)容：序號章節(jié)知識點學(xué)時1第一章Ch1 Introduction to Financial Derivatives腦中有科學(xué)52第二章Ch2 Binomial no-arbitrage pricing Model153第三章Ch3 Prob. Theory on Coin Toss Space154第四章Ch4 State Prices95第五章Ch5 American derivatives_Stopping Time心中有道義5Topics Co

3、vered-Binomial no-arbitrage pricing: no-arbitrage method in a binomial model; profound concept of RN pricing-Discrete case of prob. Theory: formalizes results of Ch 2 using martingale tool; RN pricing formula for European-State prices: measure change in the context of Euro pricing; as a warm-up prel

4、iminary- American derivatives: as well non-path-dependent American derivatives; some properties of these derivatives, Such as optimal exercise, stopping time-Empirical Study: Binomial model pricing; Volatility smile; Some properties of options (put-call parity, etc.);（三）課程要求1.以教材為藍(lán)本，結(jié)合教師的教案：課堂進行隨機抽查

5、回答與作業(yè)、課程論文結(jié)合方式。2.平時課后作業(yè)：每周或每兩周一次作業(yè)，按時上交，下一周進行課堂講解（對錯誤較多、較重要的題目）。（四）教學(xué)安排周次章節(jié)內(nèi)容授課方式課時作業(yè)/測驗輔助資料11.1 Financial Math v.s. Financial Engineering, 1.2 Financial Derivatives_Option做個“具有良好科學(xué)素養(yǎng)”的大學(xué)生講授3復(fù)習(xí)衍生品的知識，特別是期權(quán)的基礎(chǔ)教師的教案,指定的參考教材21.3 Option Pricing,2.1 One-period Binomial Model講授33上周復(fù)習(xí)的問題2.1 One-period Bino

6、mial Model講授3Ex.2.1教師的教案,指定的參考教材4上周的作業(yè)講解2.2 Multi-period Binomial Model講授3Ex.2.25上周的作業(yè)講解2.2 Multi-period Binomial Model講授3教師的教案,指定的參考教材62.2 Multi-period Binomial Model2.3 Conputational Considerations講授3Ex.2.67上周的作業(yè)講解2.3 Conputational Considerations3.1 Probability Spaces講授3教師的教案,指定的參考教材83.2 r.v., Exp

7、ectation3.3 Conditional Expectation講授3Ex.3.29上周的作業(yè)講解3.3 Conditional Expectation3.4 Martingales講授3教師的教案,指定的參考教材103.4 Martingales思維與思辨講授3Ex. 3.1011上周的作業(yè)講解3.5 Markov process講授3教師的教案,指定的參考教材123.5 Markov process4.1 Change of Measure講授3Ex. 3.1413上周的作業(yè)講解4.1 Change of Measure4.2 RN derivative process講授3Ex. 4.2教師的教案,指定的參考教材14上周的作業(yè)講解4.2 RN derivative process4.3 CAPM單元測驗3Ex. 4.315上周的作業(yè)講解4.3 CAPM5.1 Non-path-dependent American Derivative講授3Ex. 4.7教師的教案,指定的參考教材16上周的作業(yè)講解5.1 Non-path-dependent American Derivative5.2 Stopping Time講授3Ex. 5.1175.3 Stoppin